Build and Analyze Curve Models

Create and analyze interest-rate and default probability curves

Analyze interest-rate curves or bootstrap interest-rate curves from market data using a ratecurve object. Estimate parameters for yield curve models using a parametercurve object. Price inflation instruments using an inflationcurve object. Price credit instruments using a default probability curve with a defprobcurve object. Create a curve for a short-term interest-rate instrument using irbootstrap.

The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

Functions

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Analyze Interest-Rate Curves

`ratecurve`	Create `ratecurve` object for interest-rate curve from dates and data
`zerorates`	Calculate zero rates for `ratecurve` object
`forwardrates`	Calculate forward rates for `ratecurve` object
`discountfactors`	Calculate discount factors for a `ratecurve` object
`irbootstrap`	Bootstrap interest-rate curve from market data

Analyze Inflation Curves

`inflationcurve`	Create `inflationcurve` object for interest-rate curve from dates and data
`indexvalues`	Calculate index values for `inflationcurve` object
`inflationbuild`	Build inflation curve from market zero-coupon inflation swap rates

Analyze Parametric Curves

`parametercurve`	Create `parametercurve` object for storing interest-rate curve function
`zerorates`	Calculate zero rates for `parametercurve` object
`discountfactors`	Calculate discount factors for `parametercurve` object
`forwardrates`	Calculate forward rates for `parametercurve` object
`fitNelsonSiegel`	Fit Nelson-Siegel model to bond market data
`fitSvensson`	Fit Svensson model to bond market data

Analyze Default Probability Curves

`defprobcurve`	Create `defprobcurve` object for credit instrument
`survprobs`	Compute survival probability based on default probability curve
`hazardrates`	Compute hazard rates based on default probability curve
`defprobstrip`	Bootstrap `defprobcurve` object from market CDS instruments

Objects

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Interest-Rate Instruments for Curve Construction Using `irbootstrap`

`STIRFuture`	`STIRFuture` instrument object
`OISFuture`	`OISFuture` instrument object
`OvernightIndexedSwap`	`OvernightIndexedSwap` instrument object

Topics

Bootstrap Default Probability Curve from Market CDS Instruments
This example shows how to use defprobstrip to bootstrap a defprobcurve object based on market CDS instruments.
Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments
Use objects to model and price financial instruments.
Choose Instruments, Models, and Pricers
Select instruments, associated models, and associated pricers.
Mapping Financial Instruments Toolbox Functions to Object-Based Framework for Instruments, Models, and Pricers
Mapping functions to a workflow using objects for instruments, models, and pricers.
Mapping Financial Instruments Toolbox Curve Functions to Object-Based Framework
Mapping curve functions to an object-based framework.

Related Information

Object-Based Framework for Pricing Financial Instruments (2 min 42 sec)

Featured Examples

Bootstrap Default Probability Curve from Market CDS Instruments

Use defprobstrip to bootstrap a defprobcurve object based on market CDS instruments.

Open Live Script

Compute LIBOR Fallback

Compute a USD LIBOR fallback. Regulators and industry groups have recommended that firms transition away from the London inter-bank offered rate (LIBOR) and prepare to replace them with overnight Alternative Reference Rates (ARRs). What happens to contracts with a notional value of trillions of dollars if they refer to a benchmark that no longer exists? If the LIBOR benchmark is no longer published, references to that benchmark rate must change and benchmark rates “fall back” to a new benchmark in contracts. For example, if a 30-year floating-rate instrument with a three-month coupon based on the LIBOR rate is created in 2008 and expires in 2038, then the rate will need to change in 2023 because in 2023, the publication of a LIBOR rate permanently ceases. To calculate three-month coupon payments after 2023, you must use a LIBOR fallback. This example is based on the ISDA® 2020 IBOR Fallbacks Protocol.